Spatial statistics often involves Cholesky decomposition of covariance matrices. To ensure scalability to high dimensions, several recent approximations have assumed a sparse Cholesky factor of the precision matrix. We propose a hierarchical Vecchia approximation, whose conditional-independence assumptions imply sparsity in the Cholesky factors of both the precision and the covariance matrix. This remarkable property is crucial for applications to high-dimensional spatio-temporal filtering. We present a fast and simple algorithm to compute our hierarchical Vecchia approximation, and we provide extensions to non-linear data assimilation with non-Gaussian data based on the Laplace approximation. In several numerical comparisons, including a filtering analysis of satellite data, our methods strongly outperformed alternative approaches.
翻译:空间统计往往涉及科洛斯基共变矩阵的分解。 为了确保可伸缩到高维度,最近几个近似点假设精确矩阵中一个稀疏的科洛斯基系数。我们建议采用一个等级分级的Vecchia近似值,其有条件的独立假设意味着精确度和共变矩阵中Choolesky系数的宽度。这一显著的属性对于高维空间时空过滤应用至关重要。我们提出了一个快速和简单的算法来计算我们等级的Vecchia近似值,我们提供了非线性数据与基于拉普尔近比的非Gaussian数据同化的延伸。在几个数字比较中,包括卫星数据的过滤分析,我们的方法大大优于其他方法。